Econometric Methods of Signal Extraction
The Wiener-Kolmogorov signal extraction filters, which are widely used in econometric analysis, are constructed on the basis of statistical models of the processes generating the data. In this paper, such models are used mainly as heuristic devices that are to be specified in whichever ways are appropriate to ensure that the filters have the desired characteristics. The digital Butterworth filters, which are described and illustrated in the paper, are specified in this way. The components of an econometric time series often give rise to spectral structures that fall within well-defined frequency bands that are isolated from each other by spectral dead spaces. We find that the finite-sample Wiener-Kolmogorov formulation lends itself readily to a specialisation that is appropriate for dealing with band-limited components.
|Date of creation:||May 2005|
|Contact details of provider:|| Postal: London E1 4NS|
Phone: +44 (0) 20 7882 5096
Fax: +44 (0) 20 8983 3580
Web page: http://www.econ.qmul.ac.uk
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marianne Baxter & Robert G. King, 1999.
"Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series,"
The Review of Economics and Statistics,
MIT Press, vol. 81(4), pages 575-593, November.
- Tom Doan, "undated". "BKFILTER: RATS procedure to implement band pass filter using Baxter-King method," Statistical Software Components RTS00026, Boston College Department of Economics.
- Marianne Baxter & Robert G. King, 1995. "Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series," NBER Working Papers 5022, National Bureau of Economic Research, Inc.
- Pollock, D S G, 2001.
"Filters for Short Non-stationary Sequences,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 20(5), pages 341-355, August.
- Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
- Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers 462, Queen Mary University of London, School of Economics and Finance.
- Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
- Stephen Pollock, 2000. "Circulant Matrices and Time-series Analysis," Working Papers 422, Queen Mary University of London, School of Economics and Finance.
- Gomez, Victor, 2001. "The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 365-373, July.
- Stephen Pollock, 2000. "Filters for Short Nonstationary Sequences," Working Papers 423, Queen Mary University of London, School of Economics and Finance.
- Pollock, D. S. G., 2003. "Improved frequency selective filters," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 279-297, March.
- Pollock, D. S. G., 2000. "Trend estimation and de-trending via rational square-wave filters," Journal of Econometrics, Elsevier, vol. 99(2), pages 317-334, December.
When requesting a correction, please mention this item's handle: RePEc:qmw:qmwecw:wp530. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Nick Vriend)
If references are entirely missing, you can add them using this form.